Publication details
The yield curve as a predictor of economic activity – the case of the Visegrad group
| Authors | |
|---|---|
| Year of publication | 2013 |
| Type | Article in Proceedings |
| Conference | European Financial Systems 2013. Proceedings of the 10th International Scientific Conference |
| MU Faculty or unit | |
| Citation | |
| Field | Economy |
| Keywords | yield curve; slope; Visegrad; GDP; spread |
| Attached files | |
| Description | In this paper we study the ability of the yield curve to predict GDP activity in four countries of the Visegrad group – Czech Republic, Slovakia, Poland and Hungary. The dataset contains the spread between 10-year and 3-month sovereign bonds and real GDP of the countries mentioned above between the years 2002 and 2012. The results showed that the prediction of the GDP growth or decrease was proven after year 2008 (the financial crisis) in the Czech Republic, Slovakia and Hungary, the predictive power of the yield curve was lowered in those countries before the year 2008. Certainly the simple yield curve growth forecast should not serve as a replacement for the complex predictive models, it does, however, provide enough information to serve as a useful check on the more sophisticated forecasts. These findings provide further evidence of the potential usefulness of the yield curve spreads as indicators of the future economic activity. |
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